Position Sizing options testing or optimisation?

[smith1973]

A thought, since once you have the trade signal database, the next issue is money management & the success or failure of the system can depend on doing this properly.

Have you considered providing a feature to test a range of parameters and/or optimise the position sizing parameters for each of the methods? eg changing the %risk, $amount etc. A number of optimisation targets would be useful ie profit, drawdown, expectancy perhaps?

[David Samborsky]

A thought, since once you have the trade signal database, the next issue is money management & the success or failure of the system can depend on doing this properly.

Have you considered providing a feature to test a range of parameters and/or optimise the position sizing parameters for each of the methods? eg changing the %risk, $amount etc. A number of optimisation targets would be useful ie profit, drawdown, expectancy perhaps?

Yes I was going to add this to the Monte Carlo analysis because a single simulation for each stepping of the parameter would not provide any conclusive results.